place quick smoke icosphere over video in video sequence editor
Most video formats do not support alpha channels,at least not the ones built into blender. (there is one option if you are using OSX)

You have two options: 

1.- Export your scene as an image sequence with in RBGA (in a format like PNG, Tiff, TGA, Jpeg2000 or OpenEXR) and then import it into the Video sequence editor to combine your shots

2.- Do the compositing directly in blender either by importing the smoke scene as a strip into the video editor or using the compositor located in the Node Editor